Backtesting Earnings

Discussion in 'Strategy Building' started by BrownianMotion, Aug 25, 2006.

  1. Bob111

    Bob111

    i found it,itl works. PM your email to me. make sure, you can accept decent size attachement(like couple mb).
     
    #11     Aug 28, 2006
  2. #12     Sep 6, 2006
  3. Be careful with yahoo data. I've been using float for a filter in a certain area of my trading and I noticed that yahoo's float is unreliable. msn seems to have better float data.

    Of course I'm not sure if this extends to other data as well, but I'm just giving y'all a heads-up.
     
    #13     Sep 6, 2006
  4. #14     Sep 6, 2006
  5. taowave

    taowave

    Yes,Zacks is probably the cheapest fundamental backtester on the market....It has evry fundamental field you can think of,plus the ability to create your own custom fundamental field..

    One thing to look out for...When you run you backtest,if you choose short rebalancing periods,watch out for the COMPOUNDING effect.It can be substantil over longer time frames and very misleading,unless you plan on reinvesting profits and trading 100% of the equity
     
    #15     Sep 7, 2006
  6. Last time I tried it, Zacks backtester didn't have earnings estimates, earnings revisions, and stock price data on a day-to-day basis with datestamps for each item.

    For example, Zack's doesn't let you test to see what happens to price in the next 48 hours when a stock beats estimates, the stock closes 5% higher, and analysts raise the following quarters estimates on the same exact day.
     
    #16     Sep 7, 2006
  7. AdamCohen

    AdamCohen

    I head up the quantitative group at Zacks.

    We in fact do allow our professional users to have access to our daily backtesting database that allows the user to backtest technical analysis strategies, event analysis strategies such as the performance after an earnings surprise 1 day after, 2 days after an earnings release, and more.

    If there is an interest in learning more about this, please check out the below:

    http://www.zackspro.com/request.asp

    Adam Cohen, CFA
    Quantitative Group
    Zacks Investment Research
     
    #17     Sep 7, 2006
  8. taowave

    taowave

    Welcome aboard Adam.I have been using your product for 3 years now.I had no idea of these capabilities.I will give Kevin M a call tomorrow
     
    #18     Sep 7, 2006
  9. Adam,

    Looks like the product has evolved since I last tested it.

    How would one test historical performance of a portfolio of stocks "after an earnings surprise 1 day after, 2 days after an earnings release," etc. with your product?

    Is this done in the backtesting program itself or does the user have to extract the raw data from your database, align it, and crunch the numbers themselves (in Excel for example).

    What do you charge for this data/capability?

    Thanks
     
    #19     Sep 7, 2006
  10. a5519

    a5519

    The features that you mention are not available for subscription that is offered on the web site.
    After looking at the web site, what stoped me from subscribing is that it is not possible to make historical screening. I need to enter a criteria and I want to get stocks that meet the criteria at specified date in the past. I don't think your backtesting procedure provide enough flexibility for implementing technical analysis based entry exit strategies.
    With historical screening it would be quite interesting service.
     
    #20     Sep 7, 2006